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Mathematics | Journal of the Operations Research Society of China – incl. option to publish open access

Journal of the Operations Research Society of China

Journal of the Operations Research Society of China

Editor-in-Chief: Ya-Xiang Yuan

ISSN: 2194-668X (print version)
ISSN: 2194-6698 (electronic version)

Journal no. 40305

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JORSC special issue on New Challenges in Financial Optimization and Risk Management

Nowadays, under the new environment of financial markets characterized by ``globalization'' and ``networking'', financial decision and risk management are facing many new challenges, including rapidly changing environment, nonlinear characteristics, unstructured information, irrational human behavior, etc. With deeper and broader connections among countries/regions, worldwide financial linkages are becoming more and more complicated, and trading is getting faster and faster, which can induce propagation and contagion of financial systemic risk instinctively, resulting in severe consequences such as Subprime Crisis and European Debt Crisis. To cope with such ``new challenges'', we have to develop new pricing models, risk measures and computational methods to make the financial decision and risk management more efficient and robust. Therefore, we managed to organize this special issue on New Challenges in Financial Optimization and Risk Management.

We have collected in this special issue nine rigourously reviewed papers which are mainly contributed by Chinese young scholars who are very active in the relevant research fields and have a good knowledge about Chinese and international financial markets. Among these nine papers, two papers by Ma et al. and Xu address the issues of derivative pricing. The former focuses on the pricing of an American strangle, while the latter considers the uncertainty of underlying asset in a more general pricing setting. The paper of Jiahua Zhang et al. investigates the existence of the core of a reinsurance market where the risks of different companies may be interdependent. The paper of Meng Zhang et al. proposes an extra resource allocation model considering simultaneously both the global efficiency and growing potential. The paper of Wu and Gao investigates the optimal execution problem in the limit order market for mitigating liquidity risk. The other four papers consider problems related to portfolio decision. More specifically, the two papers by Peng et al. and Liu et al. consider the time consistent strategies involving state-dependent risk aversion or data uncertainty in optimal dynamic investment decision. The paper of Wang et al. studies the optimal portfolio and consumption under some general utility function and short-term rate model. And the paper of Zhu et al. proposes a multi-factor model based second-order immunization method for bond portfolio immunization to eliminate interest rate risk.

In summary, we can see that the papers in this special issue cover a wide range of topics in financial optimization and risk management, which include derivative pricing, optimal investment and consumption, time consistent and robust portfolio strategy, optimal liquidation, interest rate risk immunization, resource allocation and reinsurance. Furthermore, these novel papers investigate these issues by emphasising human behaviors and uncertainty of the environment so that can suit the practical application better, especially in the real world which is more risky than ever. We hope that the ideas, theories and methods proposed in these papers can really add value to both theoretical and practical aspects of finance, and we also hope it will bring more hints on cooperation between people in optimization and finance.

 

We wish to take this opportunity to thank all the authors for contributing their brilliant works to this special issue, as well as all the referees for their high quality reviews. We also appreciate Professor Duan Li for his kind direction and encouragement of the editorial work of this special issue. Lastly but not least, we would like to thank the editorial team of JORSC for their professional support and help.

In this issue:

1.       Incorporating Convexity in Bond Portfolio Immunization Using Multi-factor Model: A Semidefinite Programming Approach. Shu-Shang Zhu, Wei Zhu, Cai-Hong Zhang, Qian Liu. https://link.springer.com/article/10.1007%2Fs40305-018-0196-4

2.       Valuation of American Strangles through an Optimized Lower-upper Bound Approach.  Jing-Tang Ma, Wen-Yuan Li, Zhen-Yu Cui. https://link.springer.com/article/10.1007%2Fs40305-017-0174-2

3.       Core of the Reinsurance Market with Dependent Risks. Jia-Hua Zhang, Shu-Cherng Fang, Yi-Fan Xu. https://link.springer.com/article/10.1007%2Fs40305-017-0173-3

4.       Robust valuation, arbitrage ambiguity and profit & loss analysis. Yu-Hong Xu. https://link.springer.com/article/10.1007%2Fs40305-017-0181-3

5.       Extra Resource Allocation: A DEA Approach in the View of Efficiencies. Meng-Zhang, Li-li Wang, Jin-chuan Cui. https://link.springer.com/article/10.1007%2Fs40305-017-0187-x

6.       Optimal Portfolio and Consumption Rule with a CIR Model Under HARA Utility. Chun-Feng Wang, Hao Chang,Zhen-Ming Fang. https://link.springer.com/article/10.1007%2Fs40305-017-0189-8

7.       Time consistent multi-period worst-case risk measure in robust portfolio selection. Jia Liu, Zhi-Ping Chen, Yong-Chang Hui. https://link.springer.com/article/10.1007%2Fs40305-017-0188-9

8.       Explicit Solution for Constrained Optimal Execution Problem with Random Market Depth. Wei-Ping Wu, Jian-Jun Gao. https://link.springer.com/article/10.1007%2Fs40305-018-0197-3

9.       Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-dependent Risk Aversion. Liu-Meng Peng, Xiang-Yu Cui, Yun Shi. https://link.springer.com/article/10.1007%2Fs40305-018-0191-9

The journal's primary goal is to promote researches and applications of all aspects of operations research. It provides a forum for practitioners, academics and researchers in operations research and related fields. Only high quality papers will be accepted by the journal and all papers have to be peer-reviewed.

This journal will have a nature of cross disciplinary. Disciplines covered by the journal will include mathematics, computer sciences, engineering, and management science.

The journal’s scope includes articles that are related to the modeling, optimizations, decision making and management issues with the tools from operations research, mathematics, probability and statistics, industrial engineering, finance, and sociology. The papers on continuous, discrete and combinatorial optimization, stochastic models and simulations, scheduling and graph algorithms, game theory, financial and industrial applications and management science are welcomed.

Related subjects » Mathematics

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    Journal of the Operations Research Society of China is the flagship journal of the Operations Research Society of China. Its primary goal is to promote researches and applications of all aspects of operational research. This journal provides a forum for practioners, academics and researchers in operational research and related fields. It will reflect the rapid social and economic development of China and lead to new problems and challenges which require new operations research methodology and techniques. It will publish 4 issues of one volume per year, including invited reviews, regular papers, short communications, book reviews and so on.             

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